This indicator shows the rolling return of a set lookback period. The default indicator value is 20 which will show the rolling 20-day return because 20 trading days is 1 month.
Release Notes
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Updated to Pinescript v5
Added Excess Rolling Returns to gauge performance in relation to a selected ticker
Hi. Thanks for this. Just joined trading view, so was looking around for scripts. Just lazy to learn the script, but do you have excess returns over the index. Example, excess 20 day rolling return of JPM over Dow. Thanks once again.
awesome ... most statistical calculations run on price but ,as some awesome guys point out (@balipour) , they must use the returns time series . This helps helped me create a small script meself !! thanks
monk12345
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Great script ! Thanks so much for creating and sharing. Surprisingly difficut to find this analysis on the net from other sites. Useful filter for entering/exiting positions.
SG_Investor
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Thanks you. Unbelievable that more people don't like rolling returns lol.
jamiedubauskas
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@SG_Investor, No problem! I just post what I experiment and use.
exactingSeagul45046
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Hey Jamie, love the script. Do you have this script when adjusting for dividends? I noticed when adjusting for dividends the Excess Rolling Returns Symbol does not adjust, and the returns for the main symbol are overstated vs the Excess symbol. Are you able to add an option to adjust for divs? I tried figuring this out myself but I'm not a very good coder lol. Thanks and appreciate you!
SatyaLoquacious
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Hey, I actually love this Indicator on 75m TF over Indian Indices (Nifty & BankNifty). Have been using this from last 3 months. Winning trades are around 70-80% and losing ones at 20-25%. I'm so grateful to you and and this Indicator. Haven't seen such simple and unfancy indicator. Much underrated one. Love you from India.